Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.1580 |
| Annualized Std Dev | 0.3732 |
| Annualized Sharpe (Rf=0%) | -0.4234 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3761.0000 |
| NAs | 1.0000 |
| Minimum | -0.2532 |
| Quartile 1 | -0.0119 |
| Median | 0.0003 |
| Arithmetic Mean | -0.0004 |
| Geometric Mean | -0.0007 |
| Quartile 3 | 0.0118 |
| Maximum | 0.1667 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | -0.0012 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0006 |
| Stdev | 0.0235 |
| Skewness | -0.6749 |
| Kurtosis | 11.2762 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0172 |
| Gain Deviation | 0.0157 |
| Loss Deviation | 0.0181 |
| Downside Deviation (MAR=210%) | 0.0219 |
| Downside Deviation (Rf=0%) | 0.0174 |
| Downside Deviation (0%) | 0.0174 |
| Maximum Drawdown | 0.9819 |
| Historical VaR (95%) | -0.0362 |
| Historical ES (95%) | -0.0555 |
| Modified VaR (95%) | -0.0380 |
| Modified ES (95%) | -0.0819 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-07-15 | 2020-04-28 | NA | -0.9819 | 3194 | 2968 | NA |
| 2006-07-14 | 2007-01-18 | 2007-10-31 | -0.4098 | 328 | 129 | 199 |
| 2008-01-03 | 2008-02-06 | 2008-02-19 | -0.1204 | 32 | 24 | 8 |
| 2007-11-21 | 2007-12-05 | 2008-01-02 | -0.1118 | 28 | 10 | 18 |
| 2006-04-24 | 2006-06-13 | 2006-07-13 | -0.1048 | 57 | 36 | 21 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | 2.7 | -1.3 | 0.4 | 0.9 | -1.6 | 0.3 | 0 | 0.9 | 0.6 | 2.8 |
| 2007 | -0.8 | 0.1 | -0.5 | -1.7 | 1 | 1 | -1.3 | 0.5 | -1.5 | -1.5 | -2.4 | -0.2 | -7.2 |
| 2008 | -2.6 | -1.3 | -0.4 | -2.3 | 0.8 | 0.8 | 1.1 | -0.6 | -3 | 2.9 | -5.2 | 9.6 | -0.8 |
| 2009 | 0 | -0.7 | -1.6 | 3.5 | 2.8 | -1.2 | 3.7 | -2.2 | 0.1 | -3.9 | 1.2 | 0.4 | 1.9 |
| 2010 | 3 | -1.2 | 2.4 | 0.7 | -2.5 | -3.2 | 0.8 | 3.2 | 2.3 | 1.8 | 3.2 | 2.3 | 13.3 |
| 2011 | -1.4 | 3.3 | 1.3 | 0.7 | -2.4 | -0.2 | -0.6 | -0.1 | -4.6 | -1.5 | -0.4 | -0.8 | -6.8 |
| 2012 | -1.2 | 2 | -0.2 | 1.2 | -3.6 | 7.9 | 1.5 | 1.8 | 0.4 | 0.9 | 1.2 | 1 | 13.3 |
| 2013 | 0.2 | -1 | -0.2 | -2.3 | -1.9 | 1.4 | 2.4 | -0.3 | -0.5 | -1.6 | 0.8 | -0.6 | -3.5 |
| 2014 | -0.4 | 0.1 | -2.1 | -0.4 | -0.6 | -0.1 | -0.3 | 1.2 | -0.8 | -0.4 | 2.9 | 0.3 | -0.6 |
| 2015 | 6.8 | 0.4 | 4.4 | -0.5 | 0.2 | -3.9 | -3.2 | -6.8 | -0.7 | 1.2 | 0.2 | 0.6 | -1.9 |
| 2016 | -6.5 | 1.7 | -3.8 | 0.7 | 0.5 | 1.8 | -3.6 | -2.9 | 0.6 | 0.4 | 3.7 | 0 | -7.7 |
| 2017 | 1.4 | -0.4 | 0.7 | -0.9 | -0.5 | 3.1 | -1.8 | 0.4 | 0 | -0.3 | 1.7 | 0.3 | 3.7 |
| 2018 | 2 | -0.2 | 0.4 | -1.4 | -2.2 | 1.3 | -1.3 | -0.3 | 2.8 | -2.4 | -1.3 | 1.4 | -1.3 |
| 2019 | 2.5 | -2.4 | 2.6 | -0.5 | -5.6 | 2 | -6.1 | -2.7 | -1.3 | 3.5 | -4.3 | -0.6 | -12.9 |
| 2020 | -2.2 | -3.4 | 4 | -1.4 | 1.3 | 1 | 0.5 | 0.1 | -2.8 | -1.4 | -1.1 | 0.3 | -5 |
| 2021 | 2.7 | -1.7 | 3.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-04-10 544. SPY 130. 0.0015 0.0001 8.90e-3 0.0075 0.0987 0.491 0.175 GLD 59.6 0.0172 0.0193
2 2006-04-11 546. SPY 129. -0.0085 -0.0147 -1.50e-3 -0.002 0.0837 0.47 0.160 GLD 59.0 -0.0099 0.0117
3 2006-04-12 543. SPY 129. 0.0019 -0.0163 -1.00e-2 -0.0033 0.0987 0.479 0.120 GLD 59.4 0.0071 0.0131
4 2006-04-13 551. SPY 129. -0.0013 -0.0165 -1.57e-2 -0.0007 0.112 0.447 0.136 GLD 59.5 0.00120 0.0037
5 2006-04-17 558. SPY 129. -0.0004 -0.0068 -1.81e-2 -0.0002 0.127 0.433 0.123 GLD 61.1 0.0267 0.0427
6 2006-04-18 566 SPY 131. 0.0159 0.0074 6.00e-4 0.0185 0.142 0.481 0.120 GLD 61.8 0.0124 0.0378
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
